Disconnect the battery terminals, remove the fuse box cover and unbolt the square coolant tank on the passenger side of the car and move it off to the side.

For the driver side headlight, turn the wheel to the passenger side and remove or just drop inner fender liner. About a dozen little plastic rivets and 2 metal screws holding on mudguard. You really don't have to unscrew the screws holding the fender liner to the bottom of the front bumper you can just pull it down to access the back of the headlight.

DO NOT disconnect any of the hoses on the coolant tank or try to remove it from the car, just put it to the side.

Now you've got room to get your hands into where they need to go. You'll notice that there is a circular plastic cover on the housing behind the low beams. These each will unscrew and pop off. Once you take these off it is a simple matter of removing and replacing the bulb.

The bulb is held in by a metal latch. It is a wire that looks like a loop off a paper clip. disconnect by just push down and inwards (toward the middle of the car) on it and it'll pop up. Pivot it up out of the way and the bulb will pull right out. (actually, they both push towards the left if you are standing in front of the car looking at the headlights)

Replace the bulb and make sure you note how the old bulb was installed as it will only go back in one way. ALSO make sure you do not touch the bulb itself as the oil from your skin will cause the bulb to have hot spots and burn out sooner.

Reverse the process for the install making sure you get the metal tabs to latch in properly and make sure you secure the circular covers back onto the headlight housing. Also make sure you securely reattach the coolant tank and put the fuse box cover back on.

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You can open the hood and you should be able to see the headlight compartment, right between your radiator on the front. Most Mazda's have a plastic cover on them. Simply turn the cover or pull it out. The light bulb is inside that compartment. Hope that helps you.

Behind the head lamp you'll see a circular cap with some fins on it. Turn it counter clockwise and then it should come out exposing the back of
the bulb. Then you will need to push in and up on an angle to release the metal spring clip that holds the bulb in place. Then you can disconnect the harness to the back of the bulb and then remove the bulb. Do not touch the glass of the bulb when putting in the new one as that will cause the bulb to catastrophically fail

If it is the headlight itself. There may be a cover or shroud on the front of the engin bay. Remove that, may be a combination of clips and screws. If it does not cever the light area, it is even easier. There will probably be 3 screws or nuts, remover these and unplug the electrical to the light. From there you should just be able to pop the light out of place. If you are just replacing the bulbs. Where the power goes into the assembly, turn the clip, may be grey in color and pull out of the headlight assembly and replace the light bulb. But don't touch the new bulb the oils from your skin will damage the bulb.

Hi, I have a 2003 Mazda 6 which also has the fog light in the headlight assembly. I'm not sure but I would imagine the design is similar to yours. I had the left side blown and it took me roughly 10 minutes to get the bulb out. The cover on the back of the assembly has a push tab in the centre at the top and two locating tabs on the bottom. I had to push down fairly hard on the air filter side of the top tab while at the same time carefully levering the cover off with a flat blade screwdriver. There isn't a lot of room between the headlight and the air filter box but just enough that you can tilt the back cover over a bit and lift it straight up, out from the bottom locating tabs. Pull this cover right out and then you can see inside the back of the headlight assembly. The bulb has a wire retainer clip that you can push in with your fingers to unhook it and hinge it over. You may have to pull a wire terminal off to get at this clip better.You can now just pull the bulb out and remove the approx 5cm wire tail on the bulb out from it's terminal. Should be able to get a replacement bulb just about anywhere. Replacement would be the opposite only be careful not to touch the glass of the bulb with your fingers as this is detrimental to the life of the bulb. Don't forget to put the other wire terminal back on if you had to remove it. As far as the right side goes, I have never replaced the fog light but I have replaced the headlight bulbs which are also behind this cover so it should be possible. It was a while ago for that but if I remember rightly, I had to use a little mirror sometimes on the right headlight-bit of a pain. By the way, unlike me, before you ever replace a headlight bulb, check that the fuse isn't blown first. There is a fuse for low and high beam for both left and right headlights. I don't think that is the case with the fog lights. Hope this helps you or whoever else.
Cheers,Peter.